Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0876
Annualized Std Dev 0.2379
Annualized Sharpe (Rf=0%) 0.3683

Row

Daily Return Statistics

Close
Observations 3464.0000
NAs 1.0000
Minimum -0.1369
Quartile 1 -0.0059
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0077
Maximum 0.1068
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0150
Skewness -0.6151
Kurtosis 9.8545

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0101
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.5759
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0368
Modified VaR (95%) -0.0237
Modified ES (95%) -0.0508
From Trough To Depth Length To Trough Recovery
2007-07-13 2009-03-06 2010-11-24 -0.5759 833 400 433
2020-02-21 2020-03-23 2020-11-10 -0.4395 184 22 162
2011-07-08 2011-10-03 2012-03-15 -0.2645 174 61 113
2018-08-30 2018-12-24 2020-01-16 -0.2595 347 80 267
2015-04-16 2016-02-11 2016-11-23 -0.2431 408 209 199

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 1.1 0 -0.2 0.9 0.9 -2.1 0.9 -0.7 0.8
2008 2.6 -3 3.2 1.3 0.9 -0.2 -0.1 -0.8 0.9 2.9 -7.3 4.8 4.7
2009 -1.6 1.2 -0.9 0.8 4.5 1.9 0 -1.9 -2.9 -2.7 1.4 -1.1 -1.8
2010 0.9 1.8 0.9 -2.2 -2.9 -0.4 0.2 3.2 0 -0.2 2.1 -0.9 2.6
2011 1.9 -1.7 0.7 0.1 -2.4 1.8 -0.8 -1.9 -2.9 -3.4 -0.7 -0.5 -9.5
2012 2.1 0.6 -0.3 0.3 -3.2 2.9 -1.2 0.4 -0.4 2.4 -0.2 1.6 4.8
2013 0.8 -0.3 -1.4 -1.9 -0.8 1.1 2.3 -1.5 1.4 0 -0.1 0.4 -0.2
2014 -0.6 0 0.9 0.2 -0.2 0.8 -0.3 0.4 -1.6 1.2 -1.3 -1.1 -1.6
2015 -1.2 -0.2 -0.3 0.9 0 0 0 -2.9 -0.4 0.1 0.8 -0.9 -4.1
2016 -0.4 2.1 0.4 -0.6 0.4 0.2 -0.5 -0.2 0.9 -0.9 -0.4 -0.5 0.4
2017 0 1.8 0.1 0.4 1.8 0.1 0.4 0.6 0.1 -0.5 -0.1 -0.5 4.1
2018 0.1 -0.4 1.2 0.6 0.9 0.1 -0.1 0.2 -0.9 1.8 0.7 1.1 5.4
2019 0.5 0.7 1.4 -1 -1.4 0.6 -2 0.1 -1.8 1.5 -0.8 0.2 -2.1
2020 -2.1 -1.5 -6.3 -4.4 1.8 -0.8 -0.6 1.2 1.3 -1 1.1 -0.2 -11.2
2021 2.2 3.1 0.5 NA NA NA NA NA NA NA NA NA 5.9

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart